You can select directly into the variable rather than using set:
DECLARE @times int
SELECT @times = COUNT(DidWin)
FROM thetable
WHERE DidWin = 1 AND Playername='Me'
If you need to set multiple variables you can do it from the same select (example a bit contrived):
DECLARE @wins int, @losses int
SELECT @wins = SUM(DidWin), @losses = SUM(DidLose)
FROM thetable
WHERE Playername='Me'
If you are partial to using set, you can use parentheses:
DECLARE @wins int, @losses int
SET (@wins, @losses) = (SELECT SUM(DidWin), SUM(DidLose)
FROM thetable
WHERE Playername='Me');